You have to set:
Form1.StartPosition = FormStartPosition.Manual
Edit:
Here is a working sample:
Dim X As Integer = (Screen.PrimaryScreen.Bounds.Width - Me.Width) / 2
Dim Y As Integer = (Screen.PrimaryScreen.Bounds.Height - Me.Height) / 2
Me.StartPosition = FormStartPosition.Manual
Me.Location = New System.Drawing.Point(X, Y)
Edit 2:
Here is the improved code based on comments by Hans Passant, (much better):
Dim mainScreen As Screen = Screen.FromPoint(Me.Location)
Dim X As Integer = (mainScreen.WorkingArea.Width - Me.Width) / 2 + mainScreen.WorkingArea.Left
Dim Y As Integer = (mainScreen.WorkingArea.Height - Me.Height) / 2 + mainScreen.WorkingArea.Top
Me.StartPosition = FormStartPosition.Manual
Me.Location = New System.Drawing.Point(X, Y)